Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0172 |
| Annualized Std Dev | 0.3040 |
| Annualized Sharpe (Rf=0%) | 0.0567 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3466.0000 |
| NAs | 1.0000 |
| Minimum | -0.1831 |
| Quartile 1 | -0.0073 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0092 |
| Maximum | 0.1721 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0004 |
| Stdev | 0.0192 |
| Skewness | -0.5441 |
| Kurtosis | 10.9033 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0142 |
| Gain Deviation | 0.0132 |
| Loss Deviation | 0.0159 |
| Downside Deviation (MAR=210%) | 0.0184 |
| Downside Deviation (Rf=0%) | 0.0141 |
| Downside Deviation (0%) | 0.0141 |
| Maximum Drawdown | 0.7925 |
| Historical VaR (95%) | -0.0285 |
| Historical ES (95%) | -0.0481 |
| Modified VaR (95%) | -0.0299 |
| Modified ES (95%) | -0.0607 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-27 | 2012-07-24 | 2020-12-21 | -0.7925 | 3270 | 1153 | 2117 |
| 2021-01-25 | 2021-03-08 | NA | -0.2729 | 40 | 30 | NA |
| 2007-07-16 | 2007-08-16 | 2007-09-27 | -0.1685 | 53 | 24 | 29 |
| 2007-11-09 | 2007-11-21 | 2007-12-26 | -0.1300 | 32 | 9 | 23 |
| 2021-01-08 | 2021-01-15 | 2021-01-21 | -0.0580 | 9 | 6 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | NA | NA | NA | NA | -0.4 | -2 | 0.9 | 1.2 | 0.2 | 1.5 | -2.2 | -0.8 |
| 2008 | 0.7 | -4.3 | 2.4 | -0.4 | 3 | -1.9 | -1 | -0.8 | -0.4 | 2.5 | -9.7 | 3.1 | -7.4 |
| 2009 | -0.1 | 0.1 | 4.1 | 1.5 | 1.1 | 2 | 0.1 | -3.5 | -4 | -3.7 | 3.2 | -0.2 | 0.1 |
| 2010 | 1.9 | 0.5 | 1.1 | -1.7 | -2.1 | 0.8 | -1.1 | 3.6 | -0.1 | -1.1 | 2.3 | 0.3 | 4.3 |
| 2011 | 2 | -1.6 | 0.1 | 1.8 | -3.3 | 1.1 | -0.7 | -2.4 | -3.3 | -3.8 | -1.2 | 0.4 | -10.6 |
| 2012 | 3.1 | -0.2 | 0.6 | 0.8 | -3.1 | 4.1 | -1.3 | 0.8 | 0.2 | 0.9 | 0.2 | 1.9 | 8.2 |
| 2013 | 1 | -0.3 | -1.2 | -1.5 | -2.1 | 1.4 | 0.4 | -0.4 | 1.7 | -0.5 | 0.2 | 0 | -1.3 |
| 2014 | -0.8 | 0.2 | 1.7 | 0 | -0.1 | 0.4 | -0.4 | 0.3 | -1.6 | 1.5 | -2.6 | 0 | -1.4 |
| 2015 | -1.6 | 0 | 0.7 | 1 | -0.4 | 0.5 | -0.5 | -2.9 | -0.1 | -1 | 1.5 | 0 | -2.8 |
| 2016 | -0.1 | 1.4 | -0.4 | -0.2 | 1.3 | -0.3 | 0.3 | 0.2 | -0.4 | -1.1 | -1.1 | 0 | -0.6 |
| 2017 | 0.4 | 0.4 | 0.7 | 0.4 | 0.7 | 0.7 | 0 | 0 | -0.5 | 0.1 | -0.3 | 0.7 | 3.3 |
| 2018 | -0.3 | -1 | 1.1 | -0.7 | -0.6 | 0.8 | 0.7 | 0.3 | -0.7 | 2.2 | 2.4 | 1.6 | 5.9 |
| 2019 | -0.2 | 0 | 1.2 | -0.4 | -0.7 | 0.8 | -0.2 | 0.2 | -1.1 | 1 | -0.5 | 0.4 | 0.3 |
| 2020 | -1.4 | -1.2 | -4.2 | -3.7 | 2.5 | 0.6 | -0.5 | 1.1 | 2.3 | -1 | -0.5 | -0.5 | -6.4 |
| 2021 | 2.4 | 3.9 | 1.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2007-06-13 25.1 SPY 152. 0.015 3.00e-4 0.009 0.0905 0.225 0.328 0.490 GLD 64.5 0.0067 -0.0283
2 2007-06-14 25.7 SPY 153. 0.0064 2.52e-2 0.0152 0.096 0.247 0.350 0.490 GLD 64.6 0.0011 -0.0101
3 2007-06-15 25.9 SPY 153. 0.0057 1.78e-2 0.014 0.110 0.245 0.348 0.514 GLD 64.8 0.0039 0.0098
4 2007-06-18 26.1 SPY 153. -0.00120 1.05e-2 0.0105 0.0905 0.212 0.341 0.508 GLD 65.0 0.0015 0.0039
5 2007-06-19 26 SPY 153. 0.0025 2.42e-2 0.0043 0.0873 0.230 0.346 0.472 GLD 65.5 0.0082 0.0215
6 2007-06-20 26.5 SPY 151. -0.0139 -4.90e-3 -0.0092 0.0548 0.222 0.330 0.440 GLD 64.7 -0.0118 0.0028
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
